文章基本信息

标题：kdecopula: An R Package for the Kernel Estimation of Bivariate Copula Densities
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作者：Thomas Nagler
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2018
卷号：84
期号：1
页码：1-22
DOI：10.18637/jss.v084.i07
语种：English
出版社：University of California, Los Angeles
摘要：We describe the R package kdecopula (current version 0.9.2), which provides fast implementations of various kernel estimators for the copula density. Due to a variety of available plotting options it is particularly useful for the exploratory analysis of dependence structures. It can be further used for accurate nonparametric estimation of copula densities and resampling. The implementation features spline interpolation of the estimates to allow for fast evaluation of density estimates and integrals thereof. We utilize this for a fast renormalization scheme that ensures that estimates are bona fide copula densities and additionally improves the estimators' accuracy. The performance of the methods is illustrated by simulations.